I am diving into some literature to understand which is the best algorithm for computing the log-determinant of a PSD matrix. So far I have found the following two papers:
- Large-scale Log-determinant Computationthrough Stochastic Chebyshev Expansions
- Fast Estimation of $tr(f(A))$ via Stochastic Lanczos Quadrature
We were just wondering if there are other algorithms with better asymptotics, different techniques, or other paper that we should be aware of.
Similar question on Computational Science is this one,